Evaluating Historical CGER Assessments : : How Well Have They Predicted Subsequent Exchange Rate Movements? / / Jungjin Lee, Abdul Abiad, Prakash Kannan
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| Autore: |
Lee Jungjin
|
| Titolo: |
Evaluating Historical CGER Assessments : : How Well Have They Predicted Subsequent Exchange Rate Movements? / / Jungjin Lee, Abdul Abiad, Prakash Kannan
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica: | 1 online resource (29 p.) |
| Disciplina: | 339.267 |
| Soggetto topico: | Foreign exchange rates -- Mathematical models |
| Foreign exchange | |
| Monetary policy -- Mathematical models | |
| Finance | |
| Business & Economics | |
| International Finance | |
| Foreign Exchange | |
| Money and Monetary Policy | |
| Monetary Systems | |
| Standards | |
| Regimes | |
| Government and the Monetary System | |
| Payment Systems | |
| Currency | |
| Monetary economics | |
| Real exchange rates | |
| Exchange rates | |
| Real effective exchange rates | |
| Currencies | |
| Exchange rate assessments | |
| Money | |
| Soggetto geografico: | United States |
| Altri autori: |
AbiadAbdul
KannanPrakash
|
| Note generali: | Description based upon print version of record. |
| Nota di contenuto: | Contents; I. Introduction; Box; 1. An Overview of CGER Exchange Rate Assessment Methodologies; II. Evaluating Misalignment Assessments for Advanced Economies; A. Mean Prediction Error; Figures; 1. Mean Prediction Error; B. Panel Regressions; Tables; 1. Panel Regression Results using Midpoint of CGER Assessment; 2. Panel Regression Results using MB Misalignment Estimate; C. Individual Country Diagnostics; 3. Evaluation Diagnostics using MB Estimates; 2. Scatterplots of Realized vs. Predicted Changes in REER; D. Evaluating Current Account Movements; 4. Panel Regression Results using CA Norm |
| III. Cross-Section Analysis of the Fall 2006 CGER Estimates5. Country Coverage of the Expanded CGER Exercise.; 3. Undconditional Scatterplots, 27 CGER Countries; 6. Regression Results using Midpoint of CGER Assessment; 4. Conditional Scatterplots using Midpoint of CGER Assessment; 7. Regression Results using Individual CGER Methodologies; IV. Conclusion; 8. Regression Results using Midpoint of CGER Assessment, Different Horizons.......; References; Appendices; 1. Pooled Regression Results; 2. Description of Diagnostic Statistics.; 3. Data Appendix | |
| Sommario/riassunto: | The IMF's Consultative Group on Exchange Rate issues (CGER) has been conducting exchange rate assessments as part of the surveillance process since 1997. This paper evaluates CGER assessments from 1997 to 2006, by comparing these to subsequent movements in real effective exchange rates (REER). We find that CGER's estimated misalignments have predictive power over future REER movements, especially over longer horizons and after changes in fundamentals are accounted for. But while CGER misalignments frequently predict the direction of currency movements correctly, misalignments have tended to be persistent, resulting in systematic errors-overprediction for undervalued currencies and underprediction for overvalued currencies. |
| Titolo autorizzato: | Evaluating Historical CGER Assessments |
| ISBN: | 1-4623-9311-X |
| 1-4527-7328-9 | |
| 1-4518-7179-1 | |
| 1-282-84254-4 | |
| 9786612842542 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910788346803321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2009/032